Commentaire :

ISBN 13 : 9780470686447

Sommaire : Contents :
Table of Spreadsheet Examples and Software.
PART I CREDIT BACKGROUND AND CREDIT DERIVATIVES.
1 Credit Debt and Other Traditional Credit Instruments.
2 Default and Recovery Data; Transition Matrices; Historical Pricing.
3 Asset Swaps and Asset Swap Spread; z-Spread.
4 Liquidity, the Credit Pyramid and Market Data.
5 Traditional Counterparty Risk Management.
6 Credit Portfolios and Portfolio Risk.
7 Introduction to Credit Derivatives.
PART II CREDIT DEFAULT SWAPS AND OTHER SINGLE NAME PRODUCTS.
8 Credit Default Swaps; Product Description and Simple Applications.
Changes 2009.
9 Valuation and Risk: Basic Concepts and the Default and Recovery Model.
Hazard and Pseudo-Hazard Rates.
10 CDS Deal Examples.
11 CDS/Bond Basis Trading.
12 Forward CDS; Back-to-Back CDS, Mark to Market and CDS Unwind.
13 Credit-Linked Notes.
14 Digital or 'Fixed Recovery' CDS.
15 Spread Options, Callable/Puttable Bonds, Callable Asset Swaps, Callable Default Swaps.
16 Total Return Swaps.
17 Single Name Book Management.
18 CDS and Simulation.
PART III PORTFOLIO PRODUCTS.
19 Portfolio Product Types.
20 The Normal Copula and Correlation.
21 Correlation in Practice.
22 Valuation and Hedging.
23 Alternative Copulas.
24 Correlation Portfolio Management.
PART IV DEFAULT SWAPS INCLUDING COUNTERPARTY RISK.
25 Single Name CDS.
26 Counterparty CDSs.
PART V SYSTEMS IMPLEMENTATION AND TESTING.
27 Mathematical Model and Systems Validation.
28 System Implementation.
PART VI THE CREDIT CRISIS.
29 Cause and Effect: Credit Derivatives and the Crisis of 2007.
Appendix Markit Credit and Loan indices.
References.
Index.

Langue : Anglais

Collection : FINANCE

Edition : 2ème

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Etat : Présent

Propriétaire : Bibliothèque